The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility

Adam Albogatchiev, Jean-Sebastien Fontaine, Jabir Sandhu and Reginald Xie

No 2018-39, Staff Analytical Notes from Bank of Canada

Abstract: We identify a few Bank of Canada press releases that had the largest immediate impact on the exchange rate market. We find that volatility increases after these releases, but the effect is short-lived and mostly dissipates after the first hour, on average. Beyond the first hour, the size of the effect is similar to what we observe for other economic releases, such as those for inflation or economic growth data.

Keywords: Exchange rates; Financial markets; Monetary Policy (search for similar items in EconPapers)
JEL-codes: E E4 E44 F F3 F31 G G1 G10 G12 G14 G15 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsan:18-39

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